I mean, copy all files from my local above to a structure below AULAS/3

Now, I put the AULAS folder in FILE PUBLISHER (I guess because of this the folder and files are being copied) and in SITE MANAGER as well.
I also redirect ASSET MANAGER to see the above structure.

But when I publish the entire WEBSITE, the PPTX (and other) files are duplicated into ROOT.

I don't know really WHY the link in INDEX page are not pointing anymore to ROOT folder (where INDEX is). It's correct, but yesterday, after press PUBLISH, all links were redirected to ROOT too. It may be related to ASSETS MANAGER or SITE MANAGER changes I performed...

Why didn't you link to the file in the Site Manager. Wasn't that the whole purpose of adding the files to the Site Manager in the first place?

If you select a file from your local computer then there is no way for the software to know that you want to put in inside a different folder.
There is no relation between the structure files on your hard disk and the web site structure. You will need to create (and use) the structure of the Site Manager.

Solution:
- remove the file link
- create the link with the 'Page in this project'. Select the file you have added in the Site Manager.
- the link will now be valid.

- Suppose I have a file in C:\LocalFolder\aaa.pdf
- I want it below my root in a specific folder (ROOT/lessons/3)
- I want to make some links using MaterialIcon, like: ROOT/lessons/3/Myfile.pdf

What I need to do?
- Create this structure in SiteManager and "Import External File" before create the link in page?
- Assets Manager: do I need to reference it in the correct folder (/lessons/3) ?
- File Manager: even the file and folder being present in SITE MANAGER, do I need to reference the file also there?